Exact simulation of tempered stable Ornstein--Uhlenbeck processes
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Publication:5300752
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Cites work
- A Method for Simulating Stable Random Variables
- Exact simulation of IG-OU processes
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- scientific article; zbMATH DE number 2002843 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
- Modelling Cell Generation Times by Using the Tempered Stable Distribution
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On some expansions of stable distribution functions
- On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
- Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
- Survival models for heterogeneous populations derived from stable distributions
- The Monty Python method for generating random variables
- Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
Cited in
(26)- Exact simulation of IG-OU processes
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
- Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral
- Exact simulation of normal tempered stable processes of OU type with applications
- Fast simulation of tempered stable Ornstein-Uhlenbeck processes
- Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
- Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes
- On simulation of a fractional Ornstein-Uhlenbeck process of the second kind by the circulant embedding method
- Discussion of `On simulation and properties of the stable law' by Devroye and James
- Tempered stable Ornstein– Uhlenbeck processes: A practical view
- Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- Gamma-related Ornstein–Uhlenbeck processes and their simulation*
- Exact simulation of extrinsic stress-release processes
- On the simulation of general tempered stable Ornstein–Uhlenbeck processes
- Inference based on adaptive grid selection of probability transforms
- Simulation of Tempered Stable Lévy Bridges and Its Applications
- On simulation of tempered stable random variates
- Point process simulation of generalised hyperbolic Lévy processes
- Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
- Exact simulation for a class of tempered stable and related distributions
- Exact simulation of a truncated Lévy subordinator
- A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes
- Asymptotic analysis for an optimal estimating function for Barndorff-Nielsen Shephard stochastic volatility models
- Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
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